Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1361
Annualized Std Dev 0.3002
Annualized Sharpe (Rf=0%) 0.4534

Row

Daily Return Statistics

Close
Observations 3801.0000
NAs 1.0000
Minimum -0.1415
Quartile 1 -0.0091
Median 0.0012
Arithmetic Mean 0.0007
Geometric Mean 0.0005
Quartile 3 0.0114
Maximum 0.1143
SE Mean 0.0003
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0013
Variance 0.0004
Stdev 0.0189
Skewness -0.2978
Kurtosis 3.6493

Downside Risk

Close
Semi Deviation 0.0138
Gain Deviation 0.0122
Loss Deviation 0.0138
Downside Deviation (MAR=210%) 0.0181
Downside Deviation (Rf=0%) 0.0135
Downside Deviation (0%) 0.0135
Maximum Drawdown 0.6487
Historical VaR (95%) -0.0303
Historical ES (95%) -0.0438
Modified VaR (95%) -0.0306
Modified ES (95%) -0.0514
From Trough To Depth Length To Trough Recovery
2007-07-18 2008-11-20 2011-01-06 -0.6487 875 341 534
2011-02-18 2012-11-16 2014-02-13 -0.3814 751 440 311
2020-01-24 2020-03-16 2020-06-05 -0.3680 93 36 57
2006-05-08 2006-07-21 2007-07-16 -0.2909 298 52 246
2018-09-05 2018-12-24 2019-02-25 -0.2420 118 77 41

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA 4.1 -0.4 -0.4 2.5 0.8 -2.2 -1.6 0.2 -2.3 -1.1 -0.5 -1
2007 0.5 -0.7 1.2 -0.4 0.9 -1 0 1.5 1.1 -1.2 -1.6 -0.4 -0.1
2008 5.6 -2.7 3.3 3.5 1.6 -0.5 -1 -2 -0.4 -0.3 -7.9 3 1.6
2009 -2 0.5 2.7 1.2 4.2 1.7 0.4 -2.9 -4.8 -3.1 3.6 -0.3 0.9
2010 3.7 2.4 -0.1 -4.3 -2.2 0 -0.8 2.7 -0.5 -0.3 3.3 -0.1 3.4
2011 2.5 -2.1 -1.3 1.8 -3.3 1.9 -0.9 -2 -3.5 -3.9 0.5 -0.3 -10.3
2012 2.2 -0.2 0 0 -4.3 3.7 -0.7 1.1 -0.7 3.1 0 2.1 6.2
2013 2.5 -1.8 -2.5 -1.3 -0.5 0.6 0.8 -1.9 1.2 -0.1 -0.1 0.6 -2.7
2014 -0.8 0.1 1.9 -0.1 -0.1 1.4 0.8 1.6 -2.5 4.7 -2 -0.5 4.5
2015 -1.8 0 -0.9 2.3 0.3 -0.6 -1 -3.3 -1.2 1.3 0.8 -1.7 -5.8
2016 0.1 2 0.8 -2.7 0.6 -0.8 0.4 1.3 1.5 -0.1 -4.8 -1.6 -3.6
2017 1.5 1.3 -0.1 0.6 0.3 -0.9 1 0.7 0.4 -0.7 -1.1 -1 2.1
2018 0.1 -1.4 2.1 1.8 1.8 -0.4 -0.1 1.4 -0.4 4.8 1.2 0.7 12.1
2019 1 1.2 2.5 -0.8 -1.6 2.9 -0.5 0.2 -1.5 3 -1.3 0 5.3
2020 -3.5 2.2 -5.6 -5.2 0 -1.7 -0.4 2.3 2.4 -1.2 0.8 0.6 -9.1
2021 3.8 3.8 1.7 NA NA NA NA NA NA NA NA NA 9.6

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart